The cheapest and easiest place to get the arduino boards is electrokit in Sweden which has a selection of other things as well.
Another alternative is PCB Europe which also has other arduino related products.
For the most basic components and for tools, Clas Ohlson is a possibillity.
My overall favourite shop is the American based Sparkfun which has a good selection of things for the arduino, sensors, add-ons, components etc. A thing to remember though is the shipping costs and custom expenses.
Mouser electronics has very good shipping rates internationally, as low as 25 usd-35usd with fedex priority, and a good selection.
If you want to get the parallax sensors you dont want to order them from their website as they have a ridiculously high shipping rate to Europe. I found a swedish webshop lawicel which carry most of the parallax products.